Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0068 |
| Annualized Std Dev | 0.0545 |
| Annualized Sharpe (Rf=0%) | 0.1241 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3234.0000 |
| NAs | 1.0000 |
| Minimum | -0.0389 |
| Quartile 1 | -0.0012 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0015 |
| Maximum | 0.0237 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0034 |
| Skewness | -1.0729 |
| Kurtosis | 12.6387 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0026 |
| Gain Deviation | 0.0024 |
| Loss Deviation | 0.0030 |
| Downside Deviation (MAR=210%) | 0.0090 |
| Downside Deviation (Rf=0%) | 0.0025 |
| Downside Deviation (0%) | 0.0025 |
| Maximum Drawdown | 0.1243 |
| Historical VaR (95%) | -0.0051 |
| Historical ES (95%) | -0.0086 |
| Modified VaR (95%) | -0.0057 |
| Modified ES (95%) | -0.0146 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-12-12 | 2016-12-28 | 2018-01-17 | -0.1243 | 1031 | 767 | 264 |
| 2018-04-18 | 2020-03-19 | 2021-01-05 | -0.1178 | 685 | 484 | 201 |
| 2008-07-21 | 2008-12-03 | 2010-10-14 | -0.0456 | 565 | 96 | 469 |
| 2011-08-17 | 2012-05-31 | 2012-12-05 | -0.0279 | 328 | 199 | 129 |
| 2010-10-18 | 2010-12-22 | 2011-08-12 | -0.0263 | 208 | 47 | 161 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | -0.1 | 0.1 | 0.2 | -0.2 | 0 | 0.2 | -1.7 | 0.7 | -0.9 |
| 2009 | 0.1 | -0.5 | -0.2 | -0.3 | -0.1 | 0 | 0 | 0 | -0.1 | -0.1 | -0.1 | -0.1 | -1.4 |
| 2010 | 0 | 0 | 0 | -0.1 | -0.1 | 0 | 0 | 0.3 | 0.3 | 0 | 0.5 | 0 | 1 |
| 2011 | 0.3 | 0.1 | 0.1 | 0.2 | 0 | 0.2 | -0.1 | 0 | -0.4 | -0.1 | 0 | 0.2 | 0.6 |
| 2012 | 0.1 | 0.1 | 0 | 0.1 | 0 | 0.2 | 0 | 0.1 | 0 | 0.2 | 0.2 | 0 | 1 |
| 2013 | -0.1 | 0.1 | 0.1 | 0 | -0.2 | 0.1 | 0 | -0.3 | 0 | 0 | 0 | 0 | -0.1 |
| 2014 | 0 | -0.1 | 0.2 | 0 | 0 | 0.1 | 0.1 | 0 | 0.2 | -0.2 | 0.1 | -0.1 | 0.3 |
| 2015 | -0.2 | -0.4 | 0.1 | -0.1 | 0 | -0.4 | 0 | 0.7 | 0.1 | 0.5 | -0.1 | -0.2 | -0.1 |
| 2016 | 0.1 | 0.1 | 0.5 | 0 | 0.1 | 0.3 | 0 | -0.4 | 0 | 0 | -0.3 | -0.4 | 0.1 |
| 2017 | -0.3 | -0.3 | 0.1 | -0.6 | -0.2 | 0.2 | -0.6 | 0.7 | 0.4 | 0.4 | -0.6 | 0.7 | -0.1 |
| 2018 | 0.1 | -0.9 | -0.3 | -0.2 | 0.2 | -0.4 | -0.7 | 0.6 | -0.4 | 1 | -0.2 | -0.6 | -1.8 |
| 2019 | -1.4 | -0.1 | 0.2 | 0.3 | -0.2 | 0.9 | -1.2 | 0.5 | 0.2 | 0.1 | 0 | 0.2 | -0.3 |
| 2020 | -0.4 | -0.1 | -0.2 | -0.6 | 0.2 | 0.6 | 0.8 | 0.5 | 0.4 | 0.6 | -0.2 | 0.3 | 1.7 |
| 2021 | -0.4 | -0.4 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
